ACADSTAFF UGM
| Title | : | Delta-Normal Value at Risk Using Exponential Duration with Convexity for Measuring Government Bond Risk |
| Author | : |
DI ASIH I MARUDDANI (1) Dr. Abdurakhman (2) |
| Date | : | 6 2021 |
| Keyword | : | value at risk, delta-normal, exponential duration, convexity, government bond value at risk, delta-normal, exponential duration, convexity, government bond |
| Abstract | : | A bond is simply a debt that promises to repay the money with interest in the future. An issuer must pay the coupon regularly and repay the face value at the maturity date. Therefore, a bond is called fixed-income security. However, as with any investment, there is always some risk involved. Two significant bond risk investments are interest rate risk and credit risk. In this paper, we want to measure interest risk, which affects bond price movements. Exponential duration with convexity (EDC) will be applied to predict an accurate estimation of bond price caused by the interest rate change. Delta-normal value at risk (DN-VaR) is used to calculate risk based on the bond price estimation. We apply this method to four Indonesian Government Bonds with the code FR0053, FR0061, FR0073, and FR0074. The results show that by using traditional VaR and modified VaR, FR0053 has the smallest risk compared to others. According to EDC, the DN-VaR of FR0053 will decrease due to the interest rate change. The increase in interest rate gives less effect to the risk. |
| Group of Knowledge | : | Statistik |
| Original Language | : | English |
| Level | : | Internasional |
| Status | : |
Published
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